Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0920
Annualized Std Dev 0.3244
Annualized Sharpe (Rf=0%) 0.2837

Row

Daily Return Statistics

Close
Observations 4951.0000
NAs 1.0000
Minimum -0.1523
Quartile 1 -0.0097
Median 0.0010
Arithmetic Mean 0.0006
Geometric Mean 0.0003
Quartile 3 0.0111
Maximum 0.1172
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0011
Variance 0.0004
Stdev 0.0204
Skewness 0.0338
Kurtosis 3.6417

Downside Risk

Close
Semi Deviation 0.0145
Gain Deviation 0.0143
Loss Deviation 0.0144
Downside Deviation (MAR=210%) 0.0189
Downside Deviation (Rf=0%) 0.0142
Downside Deviation (0%) 0.0142
Maximum Drawdown 0.7050
Historical VaR (95%) -0.0323
Historical ES (95%) -0.0469
Modified VaR (95%) -0.0314
Modified ES (95%) -0.0471
From Trough To Depth Length To Trough Recovery
2001-08-03 2008-11-20 2014-03-20 -0.7050 3175 1836 1339
2020-02-20 2020-03-20 2020-06-05 -0.3425 75 22 53
2018-03-13 2018-12-24 2019-04-03 -0.2614 267 199 68
2015-06-02 2016-02-11 2016-07-26 -0.2506 291 177 114
2019-04-25 2019-05-31 2019-07-24 -0.1816 63 26 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA 5.2 0.5 -3.3 6.1 -1.3 -2.4 4.5
2002 -1 9.3 2.5 0.4 -0.2 -4.5 -5.5 -1.1 5.7 4.9 -2.5 -0.3 6.8
2003 -0.7 3.1 0.6 -0.1 1.4 1.9 1.2 0.6 1.5 -1.1 1 -0.4 9.3
2004 0.7 1.7 2 -1.7 -0.9 -3.7 1.2 1.3 4.7 0.4 4.2 0.1 10.2
2005 1.2 2.2 -1.3 1.1 0.7 0.3 0.2 -1 1.5 -1.1 3.4 -0.7 6.7
2006 1 3.9 -0.6 -0.9 2.3 0 -2.1 -0.9 -1 -1.8 -1.4 -0.6 -2.2
2007 0.8 -0.7 0.3 0.3 0.9 -0.8 0.5 1.9 2.1 -1.7 -1.4 -0.9 1.3
2008 5.3 -2.9 4.2 3.7 1.5 -0.4 -0.9 -2.2 -0.5 1.3 -7.6 0.9 1.8
2009 -2 -0.5 1.7 0.3 5.3 1.6 0.7 -2.6 -4.8 -3.3 3.2 -0.6 -1.5
2010 3.4 2.4 0 -4.3 -2.1 -0.2 -1.1 2.9 -0.1 -0.3 3 0 3.2
2011 2.5 -1.9 -1.1 0.3 -2.9 2.1 -0.1 -1.6 -3.4 -3.2 0.7 -0.4 -8.9
2012 2.2 0.1 0.4 0.3 -4.3 4.3 0 1.2 -0.4 3.1 -0.1 1.7 8.7
2013 1.9 -0.4 -2 -0.8 -1.3 -0.1 1.7 -0.9 1 -0.4 0.2 0.9 -0.3
2014 -0.5 -0.1 1.6 -0.3 0.1 1.4 0.3 0.8 -2.4 3.9 -1.3 -0.5 2.9
2015 -2 -0.3 -0.6 2.8 0.1 0.2 -1.2 -3.5 -1.2 0.8 1.6 -1.4 -4.8
2016 0.4 2.7 0.7 -2.6 0.5 -0.8 0.1 0.8 1.6 -0.9 -4.9 -1.5 -4.1
2017 1.6 1.6 0 1 0.1 -0.5 0.6 0.4 0.9 -0.4 -1.1 -1 3.1
2018 -0.5 -1.6 2.2 1.6 2.3 0.2 -0.1 0.5 0.3 4.7 1.4 0.7 12.3
2019 1.2 0.9 2.5 -0.8 -1.5 2.5 -2 0.5 -0.9 2.3 -1.1 0.3 3.8
2020 -3.6 2.3 -5.5 -4.9 -0.5 -1.3 -0.4 2 2.1 -1.3 1.7 0.3 -9.1
2021 3.9 3.2 1.2 NA NA NA NA NA NA NA NA NA 8.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-07-13  72.6 SPY    122.  0.0087   0.0268  -0.0205   0.0285   -0.184       NA       NA <NA>     NA    NA       NA
2 2001-07-16  68.4 SPY    121. -0.0125   0.0084  -0.0106   0.0264   -0.202       NA       NA <NA>     NA    NA       NA
3 2001-07-17  71.2 SPY    122.  0.0094   0.0303  -0.0001   0.0216   -0.193       NA       NA <NA>     NA    NA       NA
4 2001-07-18  68.3 SPY    121. -0.0068   0.0222  -0.0021  -0.0241   -0.192       NA       NA <NA>     NA    NA       NA
5 2001-07-19  71.2 SPY    122.  0.0088   0.0073   0.0023  -0.0285   -0.179       NA       NA <NA>     NA    NA       NA
6 2001-07-20  70.8 SPY    121. -0.006   -0.0074  -0.0089  -0.0254   -0.194       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart